On warm nights it's a lot of fun - and really tasty - to cook your veggies on the grill. I've found that you can do pretty much any vegetable you want. You can grill up a green vegetable to give the usual side dish a different flavor, or marinate your favorite collection and roast them on skewers. (If you do it that way, a good way to marinate is by simply picking your favorite vinaigrette and throwing it all in a freezer size ziploc)
Tonight for example, I grilled corn on the cob and brussells sprouts.
For the corn, you simply wrap each ear well in aluminum foil, and toss them on over direct medium heat. They'll take somewhere in the neighborhood of 25 minutes total, but be sure to rotate and flip them (head to tail) every 7 or so minutes.
For brussells, and other loose veggies, I use a thin grill pan. I start by coating them in a little olive oil, salt, and pepper. Then i put them in the pan right onto the grill. Each veggie cooks differently, so you probably should babysit them at least to start, being sure to stir them every so often. If the grill is too hot and they are charring too much for your taste, it's easy to put a piece of foil between the pan and grill surface to redirect some of the heat. Experimenting with a little water to steam them can be good too.
My philosophy with veggies is that with a little e.v.o.o., salt, and pepper, and heat, they'll always taste good!